Another advantage that nobody has mentioned so far is the fact that if you're doing something time-consuming (noding, playing Counter-Strike or whatnot), hand-rolled cigarettes are perfect. Because they're not doctored with all kinds to make them burn better and be more aesthetically pleasing, you can actually lay your rolled cigarette in the ashtray and carry on with what you're doing, and it will extinguish itself, ready to be re-lit when you have the time to finish it.

Compare this to regular cigarettes, which will leave an impressive (but ultimately useless) line of ash down to the filter.

Hand rolled cigarettes - For the smoker on the go!